Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0654
Annualized Std Dev 0.1629
Annualized Sharpe (Rf=0%) 0.4013

Row

Daily Return Statistics

Close
Observations 3957.0000
NAs 1.0000
Minimum -0.0972
Quartile 1 -0.0046
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.0742
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0103
Skewness -0.4230
Kurtosis 7.4196

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0069
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.4172
Historical VaR (95%) -0.0160
Historical ES (95%) -0.0246
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0315
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 2010-12-01 -0.4172 883 445 438
2019-09-06 2020-03-23 2020-12-31 -0.2916 334 137 197
2018-01-29 2018-12-24 2019-08-16 -0.1810 391 229 162
2011-07-22 2011-10-03 2013-01-14 -0.1586 372 51 321
2015-08-18 2016-02-08 2016-07-06 -0.1175 223 120 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.3 -0.2 0.3 0.7 -0.5 1.3 -0.8 0.6
2006 -0.1 0.3 0.1 0.9 1.3 -0.1 -0.6 0.7 -0.8 -1.1 -0.6 -0.7 -0.6
2007 0.7 -0.2 0.4 0.8 1.4 0 0.2 0.8 0.4 -3.3 0.4 -1.5 -0.2
2008 2.8 -1 2.1 0.7 0.4 -0.2 0.3 -1.4 0.7 1.2 -6.4 2.1 0.8
2009 -3.1 -0.1 0.9 0.1 1.5 2.2 -0.7 -1 -1.5 -1.4 1.2 -0.9 -2.9
2010 1 0.7 0.8 -0.9 -0.7 0.2 0.5 2 0.5 0.1 1.5 -0.7 5
2011 1.2 -1.2 -0.2 0.4 -1.8 1.2 -0.6 -1.6 -1.6 -2.3 -0.1 -1 -7.2
2012 0.6 0.5 0.1 0.5 -2.4 3 -0.6 0.3 0.6 0.8 0.3 1.2 4.9
2013 0.6 0.4 -0.9 -1.2 -0.6 1.1 1.6 -0.6 0.6 -0.2 -0.7 0.2 0.2
2014 0 0.5 0.3 -0.4 0.4 0.6 0.6 0.5 -1.2 1.5 -1.1 -1.3 0.2
2015 -2.1 0.2 0.2 0.9 -0.2 1 0.1 -2.1 -0.1 -0.4 0.2 -1.3 -3.4
2016 0.5 0.9 1.5 0 0.7 -0.4 -0.3 -0.6 0.9 0 -1.2 -0.7 1.3
2017 -0.2 0.4 0.3 -0.8 1.5 0.3 0 0.7 0 -0.1 0 0.1 2.2
2018 -1.1 -1 1.2 -0.8 -0.1 -0.4 -0.9 1.3 -0.6 -0.3 0 0.5 -2.3
2019 -0.2 0.1 -0.3 -0.7 -0.8 0.4 0.1 0.4 -0.9 -0.2 -0.4 -0.1 -2.5
2020 -1.6 -2.5 -2.6 -2.4 0.3 -0.5 -0.5 0.1 1 -1.6 0.8 0.9 -8.3
2021 -0.1 2 1.1 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-23  14.9 SPY    120. -0.0141  -0.0127  0.003     0.0232   0.0478    0.201   -0.182 GLD    44.0  0.0069   0.0129
2 2005-06-24  14.7 SPY    119. -0.0073  -0.0196 -0.0036    0.0142   0.0452    0.220   -0.199 GLD    43.9 -0.0027   0.0062
3 2005-06-27  14.7 SPY    119.  0.0014  -0.0185 -0.0075    0.0225   0.0502    0.219   -0.195 GLD    43.9  0.0002   0.0057
4 2005-06-28  14.8 SPY    120.  0.0084  -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
5 2005-06-29  14.8 SPY    120. -0.0027  -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
6 2005-06-30  14.8 SPY    119. -0.0054  -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart